I've never been able to get the game to connect directly to my MySQL instance and load the data in directly. Instead I have it generate the scripts and then run them. They are of course very very large but MySQL seems to do OK with them. The one thing I do do with those is I run the command line prompt to concatenate all the files in the directory to one giant SQL script:
https://superuser.com/questions/1118...multiple-files
I don't think Windows will try to write the file into itself if you tell it to write all files ending in *.sql into my-db.sql but just to be on the safe side I have it write to like my-db.txt and then manually change the extension. Again, the file is pretty huge, like 50 megs or more, but MySQL consumes it just fine (it'll take forever to load if you try to open it in that or any other text editor though).